Abstract
This paper provides an axiomatization of recursive utility functions in an infinite horizon stochastic setting. In addition, some recently developed atemporal non-expected utility theories are integrated axiomatically into an intertemporal framework. The key axioms deal with intertemporal consistency and attitudes towards the temporal resolution of uncertainty.
We are grateful to the Social Sciences and Humanities Research Council of Canada and to the National Science Foundation for financial support and to Tan Wang for pointing out an error in an earlier draft of the paper.
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Chew, S.H., Epstein, L.G. (1991). Recursive Utility Under Uncertainty. In: Khan, M.A., Yannelis, N.C. (eds) Equilibrium Theory in Infinite Dimensional Spaces. Studies in Economic Theory, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-07071-0_18
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DOI: https://doi.org/10.1007/978-3-662-07071-0_18
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